public static CapFloor GeneratedFpMLCapFloor(
ILogger logger, ICoreCache cache,
CapFloorLegParametersRange capFloorParametersRange,
List <InputCashflowRangeItem> capFloorDetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> capFloorPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> capFloorAdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(null, null, capFloorParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(capFloorDetailedCashflowsList);
if (null != capFloorPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, capFloorPrincipalExchangeCashflowListArray);
}
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != capFloorAdditionalPaymentList)
{
bulletPaymentList.AddRange(capFloorAdditionalPaymentList.Select(bulletPaymentRangeItem =>
new Payment {
payerPartyReference = PartyReferenceFactory.Create(capFloorParametersRange.Payer), receiverPartyReference =
PartyReferenceFactory.Create(capFloorParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem =>
new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount, feePaymentRangeItem.Currency), //TODO The currency needs to be added!
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.ToArray();
return(capFloor);
}
/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg1PaymentCalendar"> </param>
/// <param name="capStrikeSchedule"></param>
/// <param name="floorStrikeSchedule"> </param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="leg1FixingCalendar"> </param>
/// <returns></returns>
public static Trade CreateTrade(CapFloorLegParametersRange leg1Parameters,
IBusinessCalendar leg1FixingCalendar,
IBusinessCalendar leg1PaymentCalendar,
Schedule capStrikeSchedule,
Schedule floorStrikeSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
var stream1 = GetCashflowsSchedule(leg1FixingCalendar, leg1PaymentCalendar, leg1Parameters);
if (null != capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, false);
}
if (null != capStrikeSchedule && null == floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
}
if (null == capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, true);
}
if (null != spreadSchedule) //for float legs only
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
}
if (null != notionalSchedule)
{
// Set notional schedule
//
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
}
var capFloor = CapFloorFactory.Create(stream1);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
return(trade);
}
public static Pair <ValuationResultRange, CapFloor> GetPriceAndGeneratedFpML(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
ValuationRange valuationRange, TradeRange tradeRange,
CapFloorLegParametersRange_Old leg1ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(leg1DetailedCashflowsList);
if (null != legPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, legPrincipalExchangeCashflowListArray);
}
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != leg1AdditionalPaymentList)
{
bulletPaymentList.AddRange(leg1AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
{
payerPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Payer),
receiverPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount, feePaymentRangeItem.Currency),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.ToArray();
// Update FpML cashflows with DF,FV,PV, etc (LegParametersRange needed to access curve functionality)
//
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
// Update additional payments
//
var leg1DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg1ParametersRange.DiscountCurve);
CapFloorGenerator.UpdatePaymentsAmounts(paymentCalendar, capFloor, leg1ParametersRange, leg1DiscountCurve, valuationRange.ValuationDate);
//~ Update additional payments
string baseParty = valuationRange.BaseParty;
return(new Pair <ValuationResultRange, CapFloor>(CreateValuationRange(capFloor, baseParty), capFloor));
}
